Chicago Board Options Exchange Volatility Index

The Vix Index was introduced in 1993 by Professor Robert E. Whaley of Duke University in his
paper "Derivatives on Market Volatility: Hedging Tools Long Overdue," Journal of Derivatives 1
(Fall 1993), pp. 71-84. Since then, VIX has been considered by many to be the world's premier
barometer of investor sentiment and market volatility.

The New VIX still measures the market's expectation of 30-day volatility, but in a way that
conforms to the latest thinking and research among industry practitioners. The New VIX is based
on S&P 500 index option prices and incorporates information from the volatility "skew" by using a
wider range of strike prices rather than just at-the-money series.

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